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Mathematics

D-Index
56
Citations
12345
World Ranking
733
National Ranking
35

Overview

Nizar Touzi is affiliated with École Polytechnique in France and has made substantial contributions primarily in the fields of Economics, Econometrics, and Finance. The focus of Touzi's work spans several subfields including Finance, Economics and Econometrics, Management Science and Operations Research, Modeling and Simulation, and Computational Mechanics.

Touzi's research covers a variety of topics, highlighting stochastic processes and financial applications, economic theories and models, mathematical biology related to tumor growth, risk and portfolio optimization, fluid dynamics and turbulent flows, complex systems and time series analysis, as well as insurance, mortality, demography, and risk management.

Frequent publication venues include:

  • arXiv (Cornell University)
  • SIAM Journal on Control and Optimization
  • The Annals of Applied Probability
  • SSRN Electronic Journal
  • Electronic Journal of Probability

Recent papers authored by or involving Touzi include:

  • Zero-sum path-dependent stochastic differential games in weak formulation, 2020, The Annals of Applied Probability
  • Dynamic Programming Equation for the Mean Field Optimal Stopping Problem, 2023, SIAM Journal on Control and Optimization
  • Random Horizon Principal-Agent Problems, 2022, SIAM Journal on Control and Optimization
  • Viscosity Solutions for Obstacle Problems on Wasserstein Space, 2023, SIAM Journal on Control and Optimization
  • Second order backward SDE with random terminal time, 2020, Electronic Journal of Probability

Touzi often collaborates with several co-authors with whom multiple studies have been conducted. These frequent co-authors are:

  • Zhenjie Ren
  • Junjian Yang
  • Mao Fabrice Djete
  • René Aïd
  • Mehdi Talbi

Best Publications

  • Applications of Malliavin calculus to Monte-Carlo methods in finance. II

    Eric Fournié;Jean-Michel Lasry;Jérôme Lebuchoux;Pierre-Louis Lions

  • Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

    Bruno Bouchard;Nizar Touzi

  • OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL

    Eric Renault;Nizar Touzi

  • Law Invariant Risk Measures Have the Fatou Property

    Elyès Jouini;Walter Schachermayer;Nizar Touzi

  • Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

    Nizar Touzi

  • A STOCHASTIC CONTROL APPROACH TO NO-ARBITRAGE BOUNDS GIVEN MARGINALS, WITH AN APPLICATION TO LOOKBACK OPTIONS

    A. Galichon;P. Henry-Labordère;N. Touzi

  • Wellposedness of Second Order Backward SDEs

    H. Mete Soner;Nizar Touzi;Jianfeng Zhang

  • Second-Order Backward Stochastic Differential Equations and Fully Nonlinear Parabolic PDEs

    Patrick Cheridito;H. Mete Soner;Nizar Touzi;Nicolas Victoir

  • Contingent Claims and Market Completeness in a Stochastic Volatility Model

    Marc Romano;Nizar Touzi

  • Optimal risk sharing for law invariant monetary utility functions

    Elyès Jouini;Walter Schachermayer;Nizar Touzi

  • OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

    Rene A. Carmona;Nizar Touzi

  • Weak Dynamic Programming Principle for Viscosity Solutions

    Bruno Bouchard;Nizar Touzi

  • Vector-valued Coherent Risk Measures

    Elyès Jouini;Moncef Meddeb;Nizar Touzi

  • Martingale Representation Theorem for the G-expectation

    H. Mete Soner;H. Mete Soner;Nizar Touzi;Jianfeng Zhang

  • Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II

    Ibrahim Ekren;Nizar Touzi;Jianfeng Zhang

  • On viscosity solutions of path dependent PDEs

    Ibrahim Ekren;Christian Keller;Nizar Touzi;Jianfeng Zhang

  • A probabilistic numerical method for fully nonlinear parabolic PDEs

    Arash Fahim;Nizar Touzi;Xavier Warin

  • Dynamic programming for stochastic target problems and geometric flows

    H. Mete Soner;Nizar Touzi

  • Quasi-sure Stochastic Analysis through Aggregation

    Mete H Soner;Nizar Touzi;Jianfeng Zhang

  • OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

    Gilles-Edouard Espinosa;Nizar Touzi

  • A closed-form solution to the problem of super-replication under transaction costs

    Jakša Cvitanić;Huyên Pham;Nizar Touzi

Frequent Co-Authors

H. Mete Soner
H. Mete Soner Princeton University
Jianfeng Zhang
Jianfeng Zhang University of Southern California
Jakša Cvitanić
Jakša Cvitanić California Institute of Technology
Ivar Ekeland
Ivar Ekeland University of British Columbia
Huyên Pham
Huyên Pham École Polytechnique
René Carmona
René Carmona Princeton University
Walter Schachermayer
Walter Schachermayer University of Vienna
Jose A. Scheinkman
Jose A. Scheinkman Columbia University
Eric Renault
Eric Renault University of Warwick

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